Barbi, Massimiliano; Romagnoli, Silvia - In: Journal of Futures Markets 34 (2014) 7, pp. 658-675
<section xml:id="fut21617-sec-0001"> We propose an innovative theoretical model to determine the optimal hedge ratio (OHR) with futures contracts as the minimizer of a quantile risk measure. This class of measures is very large and allows to recover the minimum‐VaR and the minimum‐expected shortfall hedge ratios as special...</section>